Edit Profile (opens in new tab) Bayraktar, Erhan Co-Author Distance Author ID: bayraktar.erhan Published as: Bayraktar, Erhan; Bayraktar, E. Homepage: https://sites.lsa.umich.edu/erhan/ External Links: MGP · ORCID · Wikidata · arXiv · ResearchGate · Math-Net.Ru · dblp Documents Indexed: 166 Publications since 2004 Co-Authors: 87 Co-Authors with 163 Joint Publications 2,235 Co-Co-Authors all top 5 Co-Authors 3 single-authored 22 Young, Virginia R. 14 Zhou, Zhou 10 Zhang, Xin 9 Poor, Harold Vincent 9 Yao, Song 7 Cohen, Asaf 7 Xing, Hao 6 Zhang, Yuchong 5 Angoshtari, Bahman 5 Egami, Masahiko 5 Ekren, Ibrahim 5 Ludkovski, Michael 4 Dolinsky, Yan 4 Huang, Yu-Jui 4 Lai, Lifeng 4 Promislov, S. David 4 Wu, Ruoyu 3 Cecchin, Alekos 3 Dayanik, Savas 3 Guo, Jia 3 Karatzas, Ioannis 3 Kravitz, Ross 3 Li, Jiaqi 3 Pham, Huyên 3 Sayit, Hasanjan 3 Sîrbu, Mihai 3 Song, Qingshuo 2 Azimzadeh, Parsiad 2 Budhiraja, Amarjit S. 2 Chakraborty, Suman 2 Chen, Li 2 Chen, Tao 2 Cosso, Andrea 2 Delarue, François 2 Dolinskyi, Leonid 2 Kardaras, Constantinos 2 Keller, Christian 2 Kyprianou, Andreas E. 2 Wang, Zhenhua 2 Yamazaki, Kazutoshi 2 Yang, Bo 2 Yu, Xiang 2 Zhang, Jingjie 1 Amini, Hamed 1 Bäuerle, Nicole 1 Belak, Christoph 1 Bernhardt, Thomas 1 Burzoni, Matteo 1 Cayé, Thomas 1 Chakraborty, Prakash 1 Christensen, Soren 1 Cossc, Andrea 1 Cox, Alexander Matthew Gordon 1 Cvitanić, Jakša 1 Czichowsky, Christoph 1 Deng, Shuoqing 1 Ekström, Erik 1 Emmerling, Thomas J. 1 Fahim, Arash 1 Fellouris, Georgios 1 Geng, Jun 1 Guo, Gaoyue 1 Horst, Ulrich 1 Hu, Xueying 1 Kara, Ali Devran 1 Labahn, George 1 Li, Wuchen 1 Liang, Zhibin 1 Menaldi, Jose-Luis 1 Milevsky, Moshe Arye 1 Miller, Christopher W. 1 Moore, Kristen S. 1 Munk, Alexander 1 Nadtochiy, Sergey 1 Nellis, April 1 Norgilas, Dominykas 1 Pakkanen, Mikko S. 1 Qiu, Jinniao 1 Rao, Raghuveer M. 1 Seifried, Frank Thomas 1 Sezer, Semih Onur 1 Sircar, K. Ronnie 1 Sircar, Ronnie 1 Stoev, Yavor I. 1 Wang, Gu 1 Yang, Jie 1 Zhang, Yili all top 5 Serials 23 SIAM Journal on Control and Optimization 13 Stochastic Processes and their Applications 12 SIAM Journal on Financial Mathematics 11 The Annals of Applied Probability 9 Insurance Mathematics & Economics 9 Mathematical Finance 8 Mathematics of Operations Research 8 Proceedings of the American Mathematical Society 7 Applied Mathematics and Optimization 6 North American Actuarial Journal 5 Finance and Stochastics 5 Mathematical Methods of Operations Research 4 IEEE Transactions on Information Theory 4 International Journal of Theoretical and Applied Finance 3 Applied Mathematical Finance 3 Stochastics 2 Stochastic Analysis and Applications 2 Sequential Analysis 2 Annals of Operations Research 2 Electronic Communications in Probability 2 Quantitative Finance 2 Mathematics and Financial Economics 2 Annals of Finance 2 Frontiers of Mathematical Finance 1 Journal of Statistical Physics 1 Theory of Probability and its Applications 1 Illinois Journal of Mathematics 1 Journal of Applied Probability 1 Journal of Functional Analysis 1 Journal of Optimization Theory and Applications 1 Transactions of the American Mathematical Society 1 Systems & Control Letters 1 Numerical Methods for Partial Differential Equations 1 Journal of Economic Dynamics & Control 1 SIAM Journal on Matrix Analysis and Applications 1 Communications in Partial Differential Equations 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 SIAM Journal on Mathematical Analysis 1 Journal of Nonlinear Science 1 The Electronic Journal of Combinatorics 1 Bernoulli 1 Journal of Machine Learning Research (JMLR) 1 ASTIN Bulletin 1 SIAM Journal on Mathematics of Data Science all top 5 Fields 111 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 107 Probability theory and stochastic processes (60-XX) 48 Systems theory; control (93-XX) 38 Calculus of variations and optimal control; optimization (49-XX) 28 Partial differential equations (35-XX) 16 Statistics (62-XX) 10 Numerical analysis (65-XX) 10 Operations research, mathematical programming (90-XX) 5 Combinatorics (05-XX) 3 Integral equations (45-XX) 3 Operator theory (47-XX) 3 Computer science (68-XX) 3 Information and communication theory, circuits (94-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Mathematical logic and foundations (03-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 145 Publications have been cited 1,436 times in 915 Documents Cited by ▼ Year ▼ On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 47 2013 Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161Liang, Zhibin; Bayraktar, Erhan 45 2014 Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028Bayraktar, Erhan; Zhang, Yuchong 37 2015 Liquidation in limit order books with controlled intensity. Zbl 1314.91247Bayraktar, Erhan; Ludkovski, Michael 37 2014 Analysis of a finite state many player game using its master equation. Zbl 1416.91013Bayraktar, Erhan; Cohen, Asaf 35 2018 Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056Bayraktar, Erhan; Sîrbu, Mihai 35 2012 Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R. 34 2009 Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049Bayraktar, Erhan; Egami, Masahiko 34 2008 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 32 2014 Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019Bayraktar, Erhan; Sîrbu, Mihai 32 2013 Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 31 2018 Adaptive Poisson disorder problem. Zbl 1104.62093Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 30 2006 On the one-dimensional optimal switching problem. Zbl 1221.60058Bayraktar, Erhan; Egami, Masahiko 28 2010 Optimal stopping for non-linear expectations. I. Zbl 1221.60059Bayraktar, Erhan; Yao, Song 28 2011 Optimal stopping for dynamic convex risk measures. Zbl 1259.60042Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song 28 2010 Optimal stopping for non-linear expectations. II. Zbl 1221.60060Bayraktar, Erhan; Yao, Song 27 2011 Minimizing the probability of lifetime ruin under borrowing constraints. Zbl 1119.91041Bayraktar, Erhan; Young, Virginia R. 27 2007 On the multidimensional controller-and-stopper games. Zbl 1268.49045Bayraktar, Erhan; Huang, Yu-Jui 24 2013 The standard Poisson disorder problem revisited. Zbl 1070.62062Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 24 2005 Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080Bayraktar, Erhan; Sîrbu, Mihai 23 2014 On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541Bayraktar, Erhan; Zhou, Zhou 21 2017 Optimal trade execution in illiquid markets. Zbl 1233.91335Bayraktar, Erhan; Ludkovski, Michael 21 2011 Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 20 2021 Pricing Asian options for jump diffusion. Zbl 1229.91332Bayraktar, Erhan; Xing, Hao 18 2011 Correspondence between lifetime minimum wealth and utility of consumption. Zbl 1144.91015Bayraktar, Erhan; Young, Virginia R. 18 2007 Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094Bayraktar, Erhan; Zhang, Yuchong 16 2015 On the impulse control of jump diffusions. Zbl 1272.49073Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis 16 2013 Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 15 2016 Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328Bayraktar, Erhan; Keller, Christian 15 2018 Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256Bayraktar, Erhan; Young, Virginia 15 2008 Hedging life insurance with pure endowments. Zbl 1183.91067Bayraktar, Erhan; Young, Virginia R. 15 2007 Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132Bayraktar, Erhan; Dayanik, Savas 15 2006 On the robust optimal stopping problem. Zbl 1310.60040Bayraktar, Erhan; Yao, Song 14 2014 Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196Bayraktar, Erhan; Young, Virginia R. 14 2011 Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie 14 2004 Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082Bayraktar, Erhan; Yao, Song 14 2012 On the continuity of stochastic exit time control problems. Zbl 1211.60012Bayraktar, Erhan; Song, Qingshuo; Yang, Jie 13 2011 Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085Bayraktar, Erhan; Yao, Song 13 2015 Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158Bayraktar, Erhan; Zhang, Yuchong 13 2016 Optimal investment to minimize the probability of drawdown. Zbl 1367.91162Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 12 2016 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George 12 2018 A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104Bäuerle, Nicole; Bayraktar, Erhan 11 2014 Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 11 2016 Optimally investing to reach a bequest goal. Zbl 1371.91149Bayraktar, Erhan; Young, Virginia R. 11 2016 On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012Bayraktar, Erhan; Xing, Hao 11 2010 Valuation equations for stochastic volatility models. Zbl 1255.91125Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095Bayraktar, Erhan; Egami, Masahiko 11 2007 Inventory management with partially observed nonstationary demand. Zbl 1194.90008Bayraktar, Erhan; Ludkovski, Michael 10 2010 Optimal investment strategy to minimize occupation time. Zbl 1233.91235Bayraktar, Erhan; Young, Virginia R. 10 2010 Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062Bayraktar, Erhan; Ludkovski, Michael 10 2009 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 10 2019 A limit theorem for financial markets with inert investors. Zbl 1276.91055Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie 10 2006 Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209Bayraktar, Erhan; Xing, Hao 9 2009 A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082Bayraktar, Erhan; Yao, Song 8 2013 Distribution-constrained optimal stopping. Zbl 1411.91540Bayraktar, Erhan; Miller, Christopher W. 8 2019 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 8 2019 High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100Azimzadeh, Parsiad; Bayraktar, Erhan 8 2019 Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043Bayraktar, Erhan; Poor, H. Vincent 8 2007 Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189Bayraktar, Erhan; Xing, Hao 8 2009 On non-uniqueness in mean field games. Zbl 1444.91025Bayraktar, Erhan; Zhang, Xin 8 2020 A rank-based mean field game in the strong formulation. Zbl 1415.91050Bayraktar, Erhan; Zhang, Yuchong 7 2016 A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033Bayraktar, Erhan 7 2009 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716Bayraktar, Erhan; Zhou, Zhou 7 2017 No arbitrage conditions for simple trading strategies. Zbl 1233.91303Bayraktar, Erhan; Sayit, Hasanjan 7 2010 Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030Bayraktar, Erhan; Young, Virginia R. 7 2013 Continuity of utility maximization under weak convergence. Zbl 1461.91288Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 7 2020 An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179Bayraktar, Erhan; Egami, Masahiko 6 2008 A unified framework for pricing credit and equity derivatives. Zbl 1229.91330Bayraktar, Erhan; Yang, Bo 6 2011 Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 6 2016 On the market viability under proportional transaction costs. Zbl 1411.91479Bayraktar, Erhan; Yu, Xiang 6 2018 Outperforming the market portfolio with a given probability. Zbl 1259.60072Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo 6 2012 Purchasing life insurance to reach a bequest goal. Zbl 1304.91091Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2014 On the robust Dynkin game. Zbl 1371.60071Bayraktar, Erhan; Yao, Song 5 2017 Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061Bayraktar, Erhan; Kravitz, Ross 5 2013 Stochastic Perron for stochastic target games. Zbl 1337.93100Bayraktar, Erhan; Li, Jiaqi 5 2016 Stochastic differential games in a non-Markovian setting. Zbl 1102.91012Bayraktar, Erhan; Poor, H. Vincent 5 2005 A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method. Zbl 1425.91043Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf 5 2018 Martingale optimal transport with stopping. Zbl 1405.60053Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor 5 2018 Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. 5 2011 Minimizing the probability of lifetime ruin with deferred life annuities. Zbl 1483.91178Bayraktar, Erhan; Young, Virginia R. 5 2009 Large tournament games. Zbl 1443.91035Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong 5 2019 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 5 2020 Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109Geng, Jun; Bayraktar, Erhan; Lai, Lifeng 4 2014 Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078Bayraktar, Erhan; Yao, Song 4 2017 On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160Bayraktar, Erhan 4 2011 A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142Bayraktar, Erhan; Egami, Masahiko 4 2010 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046Bayraktar, Erhan; Zhou, Zhou 4 2016 Stochastic Perron for stochastic target problems. Zbl 1346.93394Bayraktar, Erhan; Li, Jiaqi 4 2016 Quickest detection with discretely controlled observations. Zbl 1309.62142Bayraktar, Erhan; Kravitz, Ross 4 2015 Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081Bayraktar, Erhan; Huang, Yu-Jui 4 2013 Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077Bayraktar, Erhan; Sezer, Semih 4 2009 Pricing options on defaultable stocks. Zbl 1142.91504Bayraktar, E. 4 2008 On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120Bayraktar, Erhan; Zhou, Zhou 4 2014 A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006Bayraktar, Erhan; Fahim, Arash 4 2014 No-arbitrage and hedging with liquid American options. Zbl 1433.91169Bayraktar, Erhan; Zhou, Zhou 4 2019 Stationarity and uniform in time convergence for the graphon particle system. Zbl 1494.60093Bayraktar, Erhan; Wu, Ruoyu 4 2022 Minimizing the probability of lifetime ruin under random consumption. Zbl 1481.91192Bayraktar, Erhan; Moore, Kristen S.; Young, Virginia R. 4 2008 Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên 3 2017 Mean field control and finite agent approximation for regime-switching jump diffusions. Zbl 1518.35223Bayraktar, Erhan; Cecchin, Alekos; Chakraborty, Prakash 3 2023 Stability of equilibria in time-inconsistent stopping problems. Zbl 1512.49014Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou 1 2023 Data-driven nonparametric robust control under dependence uncertainty. Zbl 1519.91236Bayraktar, Erhan; Chen, Tao 1 2023 Approximate Q learning for controlled diffusion processes and its near optimality. Zbl 1521.93214Bayraktar, Erhan; Kara, Ali Devran 1 2023 Stationarity and uniform in time convergence for the graphon particle system. Zbl 1494.60093Bayraktar, Erhan; Wu, Ruoyu 4 2022 Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 2 2022 Convergence of optimal investment problems in the vanishing fixed cost limit. Zbl 1498.91375Bayraktar, Erhan; Belak, Christoph; Christensen, Sören; Seifried, Frank T. 1 2022 Short communication: stability of time-inconsistent stopping for one-dimensional diffusions. Zbl 1504.60061Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou 1 2022 Finite state mean field games with wright-Fisher common noise as limits of \(N\)-player weighted games. Zbl 1505.91058Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 1 2022 Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 20 2021 Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144Bayraktar, Erhan; Wu, Ruoyu 3 2021 Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios. Zbl 1476.91138Bayraktar, Erhan; Czichowsky, Christoph; Dolinskyi, Leonid; Dolinsky, Yan 1 2021 Terminal ranking games. Zbl 1483.91030Bayraktar, Erhan; Zhang, Yuchong 1 2021 Transport plans with domain constraints. Zbl 1470.60117Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou 1 2021 Strong equivalence between metrics of Wasserstein type. Zbl 1483.90108Bayraktar, Erhan; Guo, Gaoyue 1 2021 Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 07742864Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 1 2021 On non-uniqueness in mean field games. Zbl 1444.91025Bayraktar, Erhan; Zhang, Xin 8 2020 Continuity of utility maximization under weak convergence. Zbl 1461.91288Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 7 2020 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 5 2020 On the asymptotic optimality of the comb strategy for prediction with expert advice. Zbl 07420064Bayraktar, Erhan; Ekren, Ibrahim; Zhang, Yili 3 2020 On the quasi-sure superhedging duality with frictions. Zbl 1433.91168Bayraktar, Erhan; Burzoni, Matteo 2 2020 On the adversarial robustness of robust estimators. Zbl 1446.62103Lai, Lifeng; Bayraktar, Erhan 2 2020 Finite-time 4-expert prediction problem. Zbl 07271723Bayraktar, Erhan; Ekren, Ibrahim; Zhang, Xin 1 2020 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 10 2019 Distribution-constrained optimal stopping. Zbl 1411.91540Bayraktar, Erhan; Miller, Christopher W. 8 2019 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 8 2019 High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100Azimzadeh, Parsiad; Bayraktar, Erhan 8 2019 Large tournament games. Zbl 1443.91035Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong 5 2019 No-arbitrage and hedging with liquid American options. Zbl 1433.91169Bayraktar, Erhan; Zhou, Zhou 4 2019 Rate control under heavy traffic with strategic servers. Zbl 1409.60131Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf 2 2019 On the controller-stopper problems with controlled jumps. Zbl 1422.91081Bayraktar, Erhan; Li, Jiaqi 2 2019 Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409Bayraktar, Erhan; Yu, Xiang 2 2019 Controlled reflected SDEs and Neumann problem for backward SPDEs. Zbl 1439.60053Bayraktar, Erhan; Qiu, Jinniao 2 2019 Analysis of a finite state many player game using its master equation. Zbl 1416.91013Bayraktar, Erhan; Cohen, Asaf 35 2018 Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 31 2018 Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328Bayraktar, Erhan; Keller, Christian 15 2018 Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George 12 2018 On the market viability under proportional transaction costs. Zbl 1411.91479Bayraktar, Erhan; Yu, Xiang 6 2018 A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method. Zbl 1425.91043Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf 5 2018 Martingale optimal transport with stopping. Zbl 1405.60053Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor 5 2018 Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429Bayraktar, Erhan; Cohen, Asaf 3 2018 Solvability of the nonlinear Dirichlet problem with integro-differential operators. Zbl 1386.60234Bayraktar, Erhan; Song, Qingshuo 2 2018 Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 2 2018 On zero-sum optimal stopping games. Zbl 1404.49027Bayraktar, Erhan; Zhou, Zhou 1 2018 Efficient Byzantine sequential change detection. Zbl 1395.94105Fellouris, Georgios; Bayraktar, Erhan; Lai, Lifeng 1 2018 On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541Bayraktar, Erhan; Zhou, Zhou 21 2017 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716Bayraktar, Erhan; Zhou, Zhou 7 2017 On the robust Dynkin game. Zbl 1371.60071Bayraktar, Erhan; Yao, Song 5 2017 Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078Bayraktar, Erhan; Yao, Song 4 2017 Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên 3 2017 On an optimal stopping problem of an insider. Zbl 1386.60153Bayraktar, E.; Zhou, Zh. 2 2017 Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 15 2016 Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158Bayraktar, Erhan; Zhang, Yuchong 13 2016 Optimal investment to minimize the probability of drawdown. Zbl 1367.91162Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 12 2016 Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 11 2016 Optimally investing to reach a bequest goal. Zbl 1371.91149Bayraktar, Erhan; Young, Virginia R. 11 2016 A rank-based mean field game in the strong formulation. Zbl 1415.91050Bayraktar, Erhan; Zhang, Yuchong 7 2016 Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 6 2016 Stochastic Perron for stochastic target games. Zbl 1337.93100Bayraktar, Erhan; Li, Jiaqi 5 2016 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046Bayraktar, Erhan; Zhou, Zhou 4 2016 Stochastic Perron for stochastic target problems. Zbl 1346.93394Bayraktar, Erhan; Li, Jiaqi 4 2016 An \(\alpha\)-stable limit theorem under sublinear expectation. Zbl 1347.60006Bayraktar, Erhan; Munk, Alexander 3 2016 On a stopping game in continuous time. Zbl 1345.60037Bayraktar, Erhan; Zhou, Zhou 1 2016 Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028Bayraktar, Erhan; Zhang, Yuchong 37 2015 Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094Bayraktar, Erhan; Zhang, Yuchong 16 2015 Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085Bayraktar, Erhan; Yao, Song 13 2015 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 Quickest detection with discretely controlled observations. Zbl 1309.62142Bayraktar, Erhan; Kravitz, Ross 4 2015 Weak reflection principle for Lévy processes. Zbl 1330.60064Bayraktar, Erhan; Nadtochiy, Sergey 3 2015 Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187Bayraktar, Erhan; Lai, Lifeng 3 2015 Purchasing term life insurance to reach a bequest goal: time-dependent case. Zbl 1414.91162Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 2 2015 Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161Liang, Zhibin; Bayraktar, Erhan 45 2014 Liquidation in limit order books with controlled intensity. Zbl 1314.91247Bayraktar, Erhan; Ludkovski, Michael 37 2014 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 32 2014 Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080Bayraktar, Erhan; Sîrbu, Mihai 23 2014 On the robust optimal stopping problem. Zbl 1310.60040Bayraktar, Erhan; Yao, Song 14 2014 A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104Bäuerle, Nicole; Bayraktar, Erhan 11 2014 Purchasing life insurance to reach a bequest goal. Zbl 1304.91091Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2014 Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109Geng, Jun; Bayraktar, Erhan; Lai, Lifeng 4 2014 On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120Bayraktar, Erhan; Zhou, Zhou 4 2014 A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006Bayraktar, Erhan; Fahim, Arash 4 2014 Quickest search over Brownian channels. Zbl 1322.60043Bayraktar, Erhan; Kravitz, Ross 2 2014 On the existence of consistent price systems. Zbl 1291.91188Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan 1 2014 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 47 2013 Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019Bayraktar, Erhan; Sîrbu, Mihai 32 2013 On the multidimensional controller-and-stopper games. Zbl 1268.49045Bayraktar, Erhan; Huang, Yu-Jui 24 2013 On the impulse control of jump diffusions. Zbl 1272.49073Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis 16 2013 A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082Bayraktar, Erhan; Yao, Song 8 2013 Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030Bayraktar, Erhan; Young, Virginia R. 7 2013 Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061Bayraktar, Erhan; Kravitz, Ross 5 2013 Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081Bayraktar, Erhan; Huang, Yu-Jui 4 2013 Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056Bayraktar, Erhan; Sîrbu, Mihai 35 2012 Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082Bayraktar, Erhan; Yao, Song 14 2012 Valuation equations for stochastic volatility models. Zbl 1255.91125Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Outperforming the market portfolio with a given probability. Zbl 1259.60072Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo 6 2012 Regularity of the optimal stopping problem for jump diffusions. Zbl 1255.60068Bayraktar, Erhan; Xing, Hao 1 2012 Optimal stopping for non-linear expectations. I. Zbl 1221.60059Bayraktar, Erhan; Yao, Song 28 2011 Optimal stopping for non-linear expectations. II. Zbl 1221.60060Bayraktar, Erhan; Yao, Song 27 2011 Optimal trade execution in illiquid markets. Zbl 1233.91335Bayraktar, Erhan; Ludkovski, Michael 21 2011 ...and 45 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,141 Authors 102 Bayraktar, Erhan 45 Young, Virginia R. 17 Yamazaki, Kazutoshi 16 Zhou, Zhou 14 Liang, Zhibin 13 Cohen, Asaf 13 Pham, Huyên 12 Huang, Yu-Jui 12 Ludkovski, Michael 11 Li, Danping 11 Pérez Garmendia, Jose Luis 10 Cartea, Álvaro 10 Ekström, Erik 10 Possamaï, Dylan 9 Jaimungal, Sebastian 9 Liang, Xiaoqing 9 Nutz, Marcel 9 Yuen, Kam Chuen 8 Avanzi, Benjamin 8 Cecchin, Alekos 8 Dayanik, Savas 8 Lacker, Daniel 8 Yao, Song 8 Zhang, Jianfeng 7 Belak, Christoph 7 Delarue, François 7 Dolinsky, Yan 7 Gapeev, Pavel V. 7 Han, Xia 7 Jin, Zhuo 7 Karatzas, Ioannis 7 Liang, Gechun 7 Obloj, Jan K. 7 Sezer, Semih Onur 7 Wang, Wenyuan 7 Yin, Chuancun 7 Zhou, Chao 6 Carmona, René A. 6 Ekren, Ibrahim 6 Kardaras, Constantinos 6 Li, Bin 6 Poor, Harold Vincent 6 Rong, Ximin 6 Seifried, Frank Thomas 6 Song, Qingshuo 6 Xing, Hao 6 Yoshioka, Hidekazu 6 Yuan, Yu 6 Zhang, Xin 6 Zhang, Yuchong 6 Zhao, Hui 5 Azcue, Pablo 5 Bäuerle, Nicole 5 Blake, David 5 Cardaliaguet, Pierre 5 Christensen, Soren 5 Cox, Alexander Matthew Gordon 5 De Angelis, Tiziano 5 Fahim, Arash 5 Frostig, Esther 5 Gomoyunov, Mikhail Igorevich 5 Hamadene, Saïd 5 Lindensjö, Kristoffer 5 Moreno-Franco, Harold A. 5 Muler, Nora E. 5 Plaksin, Anton Romanovich 5 Quenez, Marie-Claire 5 Sayit, Hasanjan 5 Tan, Xiaolu 5 Touzi, Nizar 5 Wang, Rongming 5 Wong, Bernard 4 Averboukh, Yuriĭ Vladimirovich 4 Bo, Lijun 4 Bouchard, Bruno 4 Buonaguidi, Bruno 4 Carassus, Laurence 4 Ceci, Claudia 4 Chen, Ping 4 Cosso, Andrea 4 Czichowsky, Christoph 4 Egami, Masahiko 4 El Asri, Brahim 4 Guéant, Olivier 4 Hernández-Hernández, Daniel 4 Kratschmer, Volker 4 Landriault, David 4 Li, Dongchen 4 Mastrolia, Thibaut 4 Nie, Tianyang 4 Palmowski, Zbigniew 4 Promislov, S. David 4 Reisinger, Christoph 4 Schachermayer, Walter 4 Sulem, Agnès 4 Suzuki, Kiyoshi 4 Tudor, Ciprian A. 4 Wei, Jiaqin 4 Wiesel, Johannes C. W. 4 Wu, Ruoyu ...and 1,041 more Authors all top 5 Cited in 157 Serials 77 Insurance Mathematics & Economics 68 SIAM Journal on Control and Optimization 50 Stochastic Processes and their Applications 42 The Annals of Applied Probability 37 Applied Mathematics and Optimization 34 Finance and Stochastics 34 SIAM Journal on Financial Mathematics 30 Mathematics of Operations Research 28 Mathematical Finance 18 Mathematical Methods of Operations Research 17 Journal of Computational and Applied Mathematics 17 International Journal of Theoretical and Applied Finance 17 North American Actuarial Journal 16 Quantitative Finance 15 Mathematics and Financial Economics 14 Journal of Applied Probability 14 Scandinavian Actuarial Journal 14 Stochastics 13 Advances in Applied Probability 13 Journal of Optimization Theory and Applications 13 European Journal of Operational Research 13 Applied Mathematical Finance 11 ASTIN Bulletin 11 Journal of Industrial and Management Optimization 10 Automatica 10 Annals of Operations Research 9 Communications in Statistics. Theory and Methods 8 Sequential Analysis 8 Electronic Journal of Probability 8 Annals of Finance 7 Journal of Mathematical Analysis and Applications 7 The Annals of Probability 6 Proceedings of the American Mathematical Society 6 Journal of Economic Dynamics & Control 6 Methodology and Computing in Applied Probability 5 Applied Mathematics and Computation 5 Stochastic Analysis and Applications 5 Stochastic Models 5 Dynamic Games and Applications 5 Probability, Uncertainty and Quantitative Risk 4 Transactions of the American Mathematical Society 3 Computers & Mathematics with Applications 3 Operations Research Letters 3 Acta Mathematicae Applicatae Sinica. English Series 3 Journal of Scientific Computing 3 Communications in Partial Differential Equations 3 Electronic Communications in Probability 3 Bernoulli 3 Mathematical Problems in Engineering 3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 3 Abstract and Applied Analysis 3 Decisions in Economics and Finance 3 Stochastics and Dynamics 3 Asia-Pacific Financial Markets 3 Review of Derivatives Research 3 Statistics & Risk Modeling 2 International Journal of Control 2 Physica A 2 Chaos, Solitons and Fractals 2 The Annals of Statistics 2 Journal of Functional Analysis 2 Mathematics and Computers in Simulation 2 SIAM Journal on Numerical Analysis 2 Systems & Control Letters 2 Statistics & Probability Letters 2 Probability Theory and Related Fields 2 Journal of Theoretical Probability 2 Mathematical and Computer Modelling 2 European Journal of Applied Mathematics 2 Automation and Remote Control 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 SIAM Journal on Mathematical Analysis 2 Journal of Nonlinear Science 2 NoDEA. Nonlinear Differential Equations and Applications 2 Probability in the Engineering and Informational Sciences 2 The ANZIAM Journal 2 Discrete and Continuous Dynamical Systems. Series B 2 Journal of Systems Science and Complexity 2 Journal of Applied Mathematics and Computing 2 East Asian Mathematical Journal 2 Science China. Mathematics 2 Numerical Algebra, Control and Optimization 2 Mathematical Control and Related Fields 2 Stochastic Systems 2 Vestnik Udmurtskogo Universiteta. Matematika. Mekhanika. Komp’yuternye Nauki 2 Frontiers of Mathematical Finance 1 Archive for Rational Mechanics and Analysis 1 Communications on Pure and Applied Mathematics 1 Journal of Engineering Mathematics 1 Calcolo 1 Demonstratio Mathematica 1 Illinois Journal of Mathematics 1 Journal of Differential Equations 1 Journal of Mathematical Economics 1 Journal of Statistical Planning and Inference 1 Memoirs of the American Mathematical Society 1 Naval Research Logistics 1 Operations Research 1 Statistica 1 Journal of Time Series Analysis ...and 57 more Serials all top 5 Cited in 34 Fields 643 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 521 Probability theory and stochastic processes (60-XX) 303 Systems theory; control (93-XX) 186 Calculus of variations and optimal control; optimization (49-XX) 109 Statistics (62-XX) 102 Partial differential equations (35-XX) 95 Operations research, mathematical programming (90-XX) 54 Numerical analysis (65-XX) 12 Integral equations (45-XX) 11 Operator theory (47-XX) 9 Computer science (68-XX) 8 Linear and multilinear algebra; matrix theory (15-XX) 7 Ordinary differential equations (34-XX) 7 Biology and other natural sciences (92-XX) 6 General and overarching topics; collections (00-XX) 6 Integral transforms, operational calculus (44-XX) 5 Functional analysis (46-XX) 5 Statistical mechanics, structure of matter (82-XX) 3 Real functions (26-XX) 3 Measure and integration (28-XX) 3 Global analysis, analysis on manifolds (58-XX) 3 Information and communication theory, circuits (94-XX) 2 Combinatorics (05-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 1 Mathematical logic and foundations (03-XX) 1 Field theory and polynomials (12-XX) 1 Functions of a complex variable (30-XX) 1 Potential theory (31-XX) 1 Difference and functional equations (39-XX) 1 Approximations and expansions (41-XX) 1 Convex and discrete geometry (52-XX) 1 Mechanics of particles and systems (70-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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